Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 4 6 4
Score -2.44 0.3 -1.54
Market Cap (Millions USD) 85.37 79.68 109.99
Predicted Beta 0.67 0.68 0.68
Idiosyncratic Volatility 1.54 1.51 1.5

Annualized return and volatility

IGN
Annualized Return 0.0298
Annualized Std Dev 0.2841
Annualized Sharpe (Rf=0%) 0.1049

Row

Daily Return Statistics

IGN
Observations 4690.0000
NAs 424.0000
Minimum -0.1017
Quartile 1 -0.0085
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0093
Maximum 0.1155
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0179
Skewness 0.0842
Kurtosis 3.8814

Downside Risk

IGN
Semi Deviation 0.0127
Gain Deviation 0.0127
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0173
Downside Deviation (Rf=0%) 0.0125
Downside Deviation (0%) 0.0125
Maximum Drawdown 0.7580
Historical VaR (95%) -0.0294
Historical ES (95%) -0.0417
Modified VaR (95%) -0.0273
Modified ES (95%) -0.0402
From Trough To Depth Length To Trough Recovery
2001-12-07 2002-10-08 2004-01-20 -0.7580 543 213 330
2007-10-24 2009-03-09 2011-02-11 -0.6361 848 354 494
2011-02-14 2012-07-17 2014-12-19 -0.3952 987 364 623
2004-01-21 2005-04-15 2006-03-03 -0.3544 541 316 225
2001-08-29 2001-10-02 2001-11-16 -0.3246 54 21 33

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IGN
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA 0.0 -3.1 1.7 0.0 0.0 -1.4
2002 -2.2 5.3 2.0 -1.1 0.0 -5.0 -2.2 0.0 4.9 3.8 0.0 0.0 5.1
2003 0.0 0.0 0.7 -0.4 0.0 2.9 0.8 0.0 0.4 0.0 1.0 0.0 5.5
2004 0.0 0.8 2.1 0.0 0.4 -2.6 0.0 1.0 2.8 -0.4 2.1 0.0 6.4
2005 0.0 2.0 -1.2 0.0 1.4 0.3 0.1 -0.4 0.0 -0.8 2.2 0.0 3.6
2006 1.4 4.2 0.0 -0.9 3.0 0.0 -2.7 -0.2 0.0 -1.5 -1.5 0.0 1.7
2007 0.3 -0.8 0.0 0.2 0.6 0.0 0.9 0.0 1.2 -2.4 0.0 0.0 -0.2
2008 1.5 0.0 3.5 1.6 0.0 0.5 -0.4 0.0 -2.5 0.0 -8.1 0.0 -4.3
2009 0.0 0.0 4.3 0.8 4.2 0.9 0.0 -2.1 -3.4 0.0 2.2 0.0 6.8
2010 1.6 1.2 -0.5 0.0 -3.7 -0.9 0.0 2.9 0.0 -0.8 2.1 0.0 1.7
2011 1.4 -1.5 -2.4 0.0 -3.6 1.8 -1.4 -0.6 0.0 -3.4 -0.5 0.0 -9.8
2012 1.7 0.2 0.0 -0.4 -3.0 0.0 -0.4 0.0 -0.5 3.8 0.0 0.0 1.3
2013 0.3 -0.5 -1.2 -2.5 0.0 0.3 1.4 0.0 1.2 -0.6 0.0 0.0 -1.7
2014 0.0 0.0 2.0 -0.6 0.0 0.6 -1.6 0.0 -1.6 0.0 -0.8 0.0 -2.0
2015 0.0 0.0 -0.8 1.0 0.0 0.6 0.0 -2.1 -0.3 0.0 0.5 0.0 -1.1
2016 0.1 1.2 -0.4 0.0 0.4 -0.3 -0.2 1.2 0.0 -0.2 -1.7 0.0 0.0
2017 -0.2 -1.1 0.0 0.2 3.9 0.0 0.8 0.9 0.0 0.0 -0.7 0.0 3.9
2018 0.7 -1.4 0.0 -1.2 1.5 0.0 -0.2 0.0 -1.6 2.8 0.0 0.0 0.6
2019 0.5 0.1 2.0 -0.9 0.0 1.4 -1.7 0.0 -3.6 -1.3 0.0 -0.1 -3.6

Row

Rolling Performance Chart

Snail Trail Chart